FEZ vs. IMOM

Last updated Jun 4, 2026

FEZ (SPDR EURO STOXX 50 ETF) and IMOM (Alpha Architect International Quantitative Momentum ETF) are both exchange-traded funds - FEZ is a Europe Equities fund tracking the EURO STOXX 50 Index, while IMOM is a Momentum fund tracking the Alpha Architect Intern.Quan. Mome. (USD)(TR). Both are passively managed. Over the past 10 years, FEZ returned 10.28%/yr vs 7.93%/yr for IMOM. A 0.69 correlation means they provide meaningful diversification when combined. FEZ charges 0.29%/yr vs 0.38%/yr for IMOM.

Performance

FEZ vs. IMOM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR EURO STOXX 50 ETF (FEZ) and Alpha Architect International Quantitative Momentum ETF (IMOM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEZ achieves a 5.18% return, which is significantly lower than IMOM's 18.05% return. Over the past 10 years, FEZ has outperformed IMOM with an annualized return of 10.28%, while IMOM has yielded a comparatively lower 7.93% annualized return.

FEZ

• 1D: -1.26%
• 1M: 5.21%
• YTD: 5.18%
• 6M: 6.87%
• 1Y: 16.91%
• 3Y*: 17.72%
• 5Y*: 9.90%
• 10Y*: 10.28%

IMOM

• 1D: -0.42%
• 1M: 2.41%
• YTD: 18.05%
• 6M: 22.47%
• 1Y: 42.66%
• 3Y*: 25.09%
• 5Y*: 8.44%
• 10Y*: 7.93%

*Multi-year figures are annualized to reflect compound growth (CAGR)

FEZ vs. IMOM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FEZ SPDR EURO STOXX 50 ETF	5.18%	37.81%	3.57%	27.16%	-14.27%	14.84%	4.84%	26.04%	-15.85%	24.80%
IMOM Alpha Architect International Quantitative Momentum ETF	18.05%	47.20%	5.22%	9.15%	-21.92%	-0.75%	28.39%	18.26%	-23.07%	34.83%

Correlation

The correlation between FEZ and IMOM is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (10Y) Calculated over the trailing 10-year period	0.71
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016	0.69

The correlation between FEZ and IMOM has been stable across timeframes, ranging from 0.69 to 0.78 - a consistent structural relationship.

FEZ vs. IMOM - Sectors Allocation Comparison

Sectors	FEZ	IMOM
Financial Services	23.4%	4.1%
Industrials	20.1%	33.2%
Technology	17.9%	15.8%
Consumer Cyclical	8.6%	1.7%
Consumer Defensive	5.4%	-
Healthcare	5.2%	3.3%
Energy	5.0%	1.9%
Utilities	4.6%	12.4%
Communication Services	3.5%	3.9%
Basic Materials	3.5%	19.4%
Real Estate	-	4.2%

Return for Risk

FEZ vs. IMOM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FEZ

FEZ Risk / Return Rank: 26
FEZ Sharpe Ratio Rank: 26
FEZ Sortino Ratio Rank: 26
FEZ Omega Ratio Rank: 25
FEZ Calmar Ratio Rank: 26
FEZ Martin Ratio Rank: 29

IMOM

IMOM Risk / Return Rank: 62
IMOM Sharpe Ratio Rank: 65
IMOM Sortino Ratio Rank: 62
IMOM Omega Ratio Rank: 65
IMOM Calmar Ratio Rank: 55
IMOM Martin Ratio Rank: 63

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FEZ vs. IMOM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR EURO STOXX 50 ETF (FEZ) and Alpha Architect International Quantitative Momentum ETF (IMOM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	FEZ	IMOM	Difference
Sharpe ratio Return per unit of total volatility	0.95	2.20	-1.25
Sortino ratio Return per unit of downside risk	1.43	2.94	-1.51
Omega ratio Gain probability vs. loss probability	1.17	1.40	-0.23
Calmar ratio Return relative to maximum drawdown	1.25	2.75	-1.50
Martin ratio Return relative to average drawdown	4.25	11.57	-7.32
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEZ vs. IMOM - Sharpe Ratio Comparison

The current FEZ Sharpe Ratio is 0.95, which is lower than the IMOM Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of FEZ and IMOM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	FEZ	IMOM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.95	2.20	-1.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.43	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.49	0.39	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	0.40	-0.10

Drawdowns

FEZ vs. IMOM - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, which is greater than IMOM's maximum drawdown of -45.74%. Use the drawdown chart below to compare losses from any high point for FEZ and IMOM.

Drawdown Indicators

	FEZ	IMOM	Difference
Max Drawdown Largest peak-to-trough decline	-64.21%	-45.74%	-18.47%
Max Drawdown (1Y) Largest decline over 1 year	-13.63%	-15.61%	+1.98%
Max Drawdown (3Y) Largest decline over 3 years	-15.85%	-17.51%	+1.66%
Max Drawdown (5Y) Largest decline over 5 years	-35.05%	-39.27%	+4.22%
Max Drawdown (10Y) Largest decline over 10 years	-39.69%	-45.74%	+6.05%
Current Drawdown Current decline from peak	-2.33%	-2.45%	+0.12%
Average Drawdown Average peak-to-trough decline	-17.07%	-14.18%	-2.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.99%	3.70%	+0.29%

Volatility

FEZ vs. IMOM - Volatility Comparison

SPDR EURO STOXX 50 ETF (FEZ) and Alpha Architect International Quantitative Momentum ETF (IMOM) have volatilities of 6.72% and 6.44%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEZ	IMOM	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.72%	6.44%	+0.28%
Volatility (6M) Calculated over the trailing 6-month period	14.85%	16.74%	-1.89%
Volatility (1Y) Calculated over the trailing 1-year period	17.91%	19.50%	-1.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.61%	19.85%	+0.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.11%	20.20%	+0.91%

FEZ vs. IMOM - Expense Ratio Comparison

FEZ has a 0.29% expense ratio, which is lower than IMOM's 0.38% expense ratio.

Dividends

FEZ vs. IMOM - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.57%, more than IMOM's 2.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FEZ SPDR EURO STOXX 50 ETF	2.57%	2.78%	2.94%	2.75%	3.06%	2.61%	2.13%	2.61%	3.45%	2.44%	3.35%	3.03%
IMOM Alpha Architect International Quantitative Momentum ETF	2.14%	2.53%	4.52%	2.95%	6.06%	1.27%	0.59%	1.17%	0.78%	1.11%	0.54%	0.00%

Frequently Asked Questions

Can I hold both FEZ and IMOM in my portfolio?

FEZ and IMOM have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FEZ or IMOM?

FEZ has higher volatility (6.72%) compared to IMOM (6.44%). In terms of maximum drawdown, FEZ dropped -64.21% vs IMOM's -45.74%.

Which ETF is better, FEZ or IMOM?

On 10-year performance, FEZ leads with 10.28% vs 7.93% for IMOM. On fees, FEZ is cheaper at 0.29% per year. On volatility, IMOM has been the lower-risk option at 6.44%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEZ or IMOM?

Over the 10-year period, FEZ has performed better with a 10.28% return vs 7.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEZ or IMOM?

FEZ is cheaper with a 0.29% expense ratio, compared with 0.38% for IMOM.

Which ETF pays a higher dividend yield, FEZ or IMOM?

FEZ has the higher dividend yield at 2.57%, compared with 2.14% for IMOM.

What is the main difference between FEZ and IMOM?

FEZ is categorized as Europe Equities, while IMOM is Momentum. FEZ tracks EURO STOXX 50 Index, while IMOM tracks Alpha Architect Intern.Quan. Mome. (USD)(TR). They also come from different issuers: State Street and Alpha Architect. Their fees differ too: 0.29% for FEZ and 0.38% for IMOM.

Which has better risk-adjusted returns?

IMOM currently has the higher Sharpe Ratio (2.20 vs 0.95), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.